• Corpus ID: 88515317

Bayesian Robust Quantile Regression

@article{Bernardi2016BayesianRQ,
  title={Bayesian Robust Quantile Regression},
  author={Mauro Bernardi and Marco Bottone and Lea Petrella},
  journal={arXiv: Methodology},
  year={2016}
}
Traditional Bayesian quantile regression relies on the Asymmetric Laplace distribution (ALD) mainly because of its satisfactory empirical and theoretical performances. However, the ALD displays medium tails and it is not suitable for data characterized by strong deviations from the Gaussian hypothesis. In this paper, we propose an extension of the ALD Bayesian quantile regression framework to account for fat-tails using the Skew Exponential Power (SEP) distribution. Beside having the $\tau… 

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